Importing objects from 3Ds Max to Blender with instancing
FBX supports instancing. I'm not familiar with now Max handles FBX, but I transfer between blender and maya with FBX all the time to keep my instances. As far as I can tell, Autodesk has done a pretty decent job of making FBX work between their own packages, so my guess is it will work for Max as well. Make sure you export from Max with the proper plugin version or blender won't be able to read it properly. Blender supports the 2014 version (7.4) for binary and 2010 (6.1) for ascii. I use binary constantly and have never had issues with it. All my stuff is simple geometry, though. It obviously won't transfer rigs properly. 

Hope that answers your question. I don't have Max installed, so I can't test it myself.